Overnight stories re Spain were causing some flight to liquidity buying in treasuries in the early going. After settling 11909 yesterday the Mar. 10’s traded as high as 11925 prior to the open outcry session. The price action triggered a quick profit take by the large buyer of Mar. 115 puts from Wednesdays session. Yesterday paper bought at least 10K of the Mar. 115 puts paying .22 and .23 with futures around 12003 and 04. They sold the position out on screen and in the pit at a price of .27, futures were between 11923 to 18 on most of the sales.
After further digesting yesterdays FOMC and more on the Tax deal it seems some are very much believing that GDP will increase by at least an additional ¼ percent next year. They further predict bonds sales will have to increase and there also seems to be some put buying going on in Fed Fund and Eurodollar options. Perhaps some believe the growth will have an impact on rates. Floor sources indicate bigger players that dominate trading in that market are offering Aug. 9975 puts @ 8, also offering Sep. 9975 puts at 10.5 and Sep. 9962 puts @ 7.5. August futures are currently 9973.5/74 and Sep. futures are 9970.5/71.
Larger trades from a.m. session listed below.
| 12/15/2010 | |||||
| Paper | B | 1,000 | EDF95/96 p spread | 3.75 | 9956.5/57 |
| New Edge | B | 5,000 | EOU 9750/9800 p spread | 10 | 9889.5/90 |
| New Edge | B | 7,000 | EDM13 9675/9725 p spread | 12.5 | 9760.5/61 |
| Mann | S | 2,500 | EDF9937p | 2.25 | N/A |
| Advantage | S | 1,500 | EDU9937 strad | 0.42 | 9927.5/28 |
| Paper | S | 2,500 | EDF9925p | 2.25 | 9956/56.5 |
| Paper | B | 2,000 | EOF9900/9912c1X2 | 2 | N/A |
| Paper | B | 5,000 | EDU95/96 c spread | 6 | 9927/27.5 |
| CCM | B | 1,500 | EDZ11 thru EDU12 9950 c strip | 21 | N/A |
| Fed Fund | |||||
| Fortis | B | 500 | FFM9950 put | 1.25 | N/A |
| Fortis | B | 600 | FFH9975p | 0.75 | N/A |
| Fortis | B | 4,000 | FFG 9987c | 0.25 | N/A |
| 10yr. | |||||
| Vision | S | 10,000 | TYH115 puts | 0.27 | 11921 to 18 area |
| Paper | B | 500 | TYF119.5 strad | 1.22 | 11917/19 |
| Mann | S | 500 | TYF122/124 c 1X2 | 0.03 | 11918/18.5 |
| Paper | B | 2,000 | TYH120p | 1.63 | N/A |
| Paper | S | 2,000 | TYH122c | 0.45 | 11916.5/17 |
| Swiss B | B | 1,000 | TYG/H 114.5 put calendar | 0.14 | 11915/16 |
| Paper | S | 1,000 | TYF 122.5/124.5 combo | 3.01 | 11916/16.5 |
| Paper | B | 1,500 | TYG119.5 strad | 2.38 | 11915 to 18 |
| Smith B | S | 1,000 | TYH122c | 0.44 | 11914/14.5 |
| Merril | B | 2,000 | TYH120p | 1.63 | 11916/16.5 |
| Paper | S | 700 | TYF122p vs. TYG116/118 ps | 2.04 Jan over | 11918/18.5 |
| Mann | S | 750 | TYF120p | 0.57 | ^11917.5 |
| Smith B | S | 1,000 | TYH122p | 3.07 and 3.06 | 11920/21 |
| Smith B | S | 500 | TYH125p | 5.32 | 11921.5/22 |
| New edge | B | 3,000 | TYH121c | 1.08 | ^11921 |
| CCM | S | 2,000 | TYG120p | 1.29 | ^11923 |
| RJO | B | 1,000 | 119.5 strad | 2.42 | ^11922 |
| BCG | S | 1,500 | TYG121/122 p spred | 0.55 | 11923/24 |
| Mann | B | 3,000 | TYH127 c | 0.05 | 11923/24 |
| Paper | B | 1,000 | TYG124c | 1.09 | 11923.5/24 |
| Paper | B | 1,000 | TYG121c | 0.49 | 11923/23.5 |
| Paper | S | 3,000 | TYF117.5p | 0.06 | 11921.5/22 |
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